Convergence of some random functionals of discretized semimartingales (Q1932225)

The asymptotic behavior of sums of functions of the increments of a semimartingale have been studied for a long time. For statistical applications, it may be interesting to let the function of each increment depend on the current time, and also on the past of the semimartingale before this time. In this paper, the convergence (a.s. or in probability) of two types of such sums is studied when the mesh of the regular grid goes to zero. Associated central limit theorems are also obtained under additional assumptions. Some of the results from this paper are included in the book [\textit{J. Jacod} and \textit{P. Protter}, Discretization of processes. Berlin: Springer (2012; Zbl 1259.60004)].